The topology of the federal funds market

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The topology of the federal funds market

Author Info

Morten L. Bech () (Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045, USA.)
Enghin Atalay () (University of Chicago, Department of Economics, 1126 East 59th Street, Chicago, IL 60637, USA.)

Additional information is available for the following registered author(s):

Morten L. Bech

Abstract

We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small world phenomenon and is disassortative. Reciprocity tracks the federal funds rate and centrality measures are useful predictors of the interest rate of a loan. JEL Classification: E4, E58, E59, G1.

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Paper provided by European Central Bank in its series Working Paper Series with number 986.

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Length: 37 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:ecb:ecbwps:20080986

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Paper
- Morten L. Bech & Enghin Atalay, 2008. "The topology of the federal funds market," Staff Reports 354, Federal Reserve Bank of New York. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-01-10 (All new papers)
NEP-CBA-2009-01-10 (Central Banking)
NEP-FMK-2009-01-10 (Financial Markets)
NEP-MON-2009-01-10 (Monetary Economics)

References listed on IDEAS
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Other versions:
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Other versions:
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Other versions:
- Selva Demiralp & Brian Preslopsky & William Whitesell, 2004. "Overnight interbank loan markets," Finance and Economics Discussion Series 2004-29, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Allen, Linda & Peristiani, Stavros & Saunders, Anthony, 1989. "Bank Size, Collateral, and Net Purchase Behavior in the Federal Funds Market: Empirical Evidence," Journal of Business, University of Chicago Press, vol. 62(4), pages 501-15, October. [Downloadable!] (restricted)
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